Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0085 |
| Annualized Std Dev | 0.1706 |
| Annualized Sharpe (Rf=0%) | -0.0499 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5573.0000 |
| NAs | 1.0000 |
| Minimum | -0.1116 |
| Quartile 1 | -0.0042 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0042 |
| Maximum | 0.1329 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0107 |
| Skewness | 0.2571 |
| Kurtosis | 24.0696 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0075 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0087 |
| Downside Deviation (MAR=210%) | 0.0125 |
| Downside Deviation (Rf=0%) | 0.0075 |
| Downside Deviation (0%) | 0.0075 |
| Maximum Drawdown | 0.4978 |
| Historical VaR (95%) | -0.0147 |
| Historical ES (95%) | -0.0244 |
| Modified VaR (95%) | -0.0116 |
| Modified ES (95%) | -0.0116 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-06-17 | 2008-10-10 | 2010-10-07 | -0.4978 | 1840 | 1340 | 500 |
| 2010-10-14 | 2020-03-23 | NA | -0.4035 | 2614 | 2365 | NA |
| 1999-02-04 | 2000-03-16 | 2001-11-13 | -0.2000 | 697 | 282 | 415 |
| 2002-02-06 | 2002-10-29 | 2003-01-24 | -0.0681 | 244 | 185 | 59 |
| 2001-11-14 | 2001-12-07 | 2002-02-04 | -0.0580 | 55 | 17 | 38 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.7 | -0.7 | 0 | -1.5 | 1.5 | 0.8 | -1.6 | 0 | 0 | 0 | 0 | 0 | -0.8 |
| 2000 | 0.9 | 0 | 1.8 | 0.9 | 0 | 0.8 | 0 | 0 | 0.8 | 1.6 | 0 | 1.5 | 8.5 |
| 2001 | -1.2 | 0.6 | 0.9 | -0.2 | -0.1 | -0.5 | -0.4 | 0.6 | 0.2 | 1.1 | 2.4 | 0.7 | 4.2 |
| 2002 | -0.6 | -0.1 | -0.8 | 1.2 | 0 | -0.7 | -0.1 | 0.2 | 0.2 | 0.7 | 0.9 | 1.2 | 2.1 |
| 2003 | 2 | 1.1 | -0.5 | 0.6 | -0.7 | -0.3 | -0.4 | 0.4 | -1 | -0.7 | -0.5 | 0 | 0 |
| 2004 | 0.1 | -1.1 | -0.3 | 1.7 | -0.5 | 0.1 | 0 | -1.2 | -0.1 | -0.4 | -1.1 | 0.2 | -2.5 |
| 2005 | -0.7 | -0.9 | -0.2 | -1.6 | -0.2 | -1 | -1.4 | 0.1 | 1.3 | -2.1 | -0.9 | 0.5 | -7 |
| 2006 | 0.4 | -0.1 | 0 | -1.7 | -1.2 | 1.3 | -1.4 | -0.4 | -0.1 | 0.9 | 0.6 | 0.5 | -1.3 |
| 2007 | 0 | 0.4 | 0.1 | 0 | -0.6 | 1.1 | -3.3 | 0.9 | -0.3 | -1.6 | 1.7 | 0.3 | -1.3 |
| 2008 | -2.4 | 0.6 | -0.5 | 0.4 | 0.5 | 0.1 | -2.2 | 1.9 | 1.2 | 0.5 | -8.1 | 4.8 | -3.8 |
| 2009 | -2.7 | 3.2 | 1.4 | -1 | -1.7 | 0 | 2.6 | 1.1 | -0.5 | -0.3 | 3 | -0.1 | 4.8 |
| 2010 | -0.1 | 1.8 | -0.6 | 0.6 | -0.5 | -1.3 | 0.8 | -2 | -0.7 | -1.1 | -1.8 | -0.1 | -4.9 |
| 2011 | 0.1 | -1.2 | -1 | 1 | -0.7 | -0.9 | 0.9 | -0.6 | -0.9 | -1.4 | -0.1 | 0.4 | -4.3 |
| 2012 | 0.3 | -0.4 | 0.8 | -0.8 | -1.5 | 0.8 | -0.4 | 0.7 | 0.4 | -0.5 | -0.9 | 1.6 | 0 |
| 2013 | -1.5 | -0.8 | 0 | -0.1 | -2.1 | 1.2 | -1.3 | 0.1 | -0.5 | -0.5 | -0.1 | 0.1 | -5.4 |
| 2014 | 0.4 | 0 | 0 | 0.1 | -0.5 | -0.5 | -1 | -0.1 | 0.3 | -0.1 | -0.4 | -1.5 | -3.4 |
| 2015 | 0.9 | -0.3 | -0.6 | -0.3 | 0.4 | -0.9 | 0.4 | 0.8 | 0.9 | -0.3 | 0.6 | 0.7 | 2.4 |
| 2016 | 0 | 0.9 | 0.4 | 0.4 | -0.8 | 0 | 0.4 | -0.4 | 0 | -0.3 | -0.7 | 0.3 | 0.2 |
| 2017 | 0.4 | -0.4 | 0.4 | 0 | -1.2 | 0.8 | -0.3 | 0.2 | 0.2 | 0.8 | -0.3 | -0.1 | 0.5 |
| 2018 | 0.3 | 0.3 | 0.6 | 0.1 | 0 | -0.2 | 0.1 | 0 | 0.2 | -0.9 | 0.1 | -1.3 | -0.6 |
| 2019 | 0.4 | 0.3 | 0.2 | 0.4 | -0.4 | 0.4 | -0.1 | 0.4 | 0.3 | 0.4 | 0.3 | 0.1 | 2.8 |
| 2020 | -0.6 | -0.2 | -1.7 | -2.4 | -1 | 0 | -1.1 | 2 | 0.8 | -0.7 | 0.5 | -0.1 | -4.6 |
| 2021 | -0.3 | 1.4 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
